The Dantzig selector is an alternative procedure to regularization techniques. It was initially proposed for linear models by [1]} and subsequently extended to more complex models [2]}, , . In particular, [3]} generalizes this approach to general estimating equations.
One of the main advantages of the Dantzig selector is its implementation which, for linear models, results in a linear programming. Since then, the Dantzig selector and lasso procedures have been compared in different contexts [4]}, [5]}.
